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When is ambiguity-attitude constant?

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This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity-attitude to be the same before and after updating. A necessary and suffici...

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Bibliographic Details
Main Authors: Eichberger, Jürgen (Author) , Grant, Simon (Author) , Kelsey, David (Author)
Format: Book/Monograph Working Paper
Language:English
Published: München CESifo 2012
Series:CESifo working paper Behavioural Economics 3768
In: CESifo working papers (3768)

Subjects:
Arbeitspapier
Graue Literatur
Online Access:Verlag, Volltext: http://www.cesifo-group.de/portal/page/portal/ifoHome/b-publ/b3publwp/_wp_abstract?p_file_id=17977674&category=
Verlag, Volltext: http://www.cesifo-group.de/DocDL/cesifo1_wp3768.pdf
Download aus dem Internet, Stand: 29.03.2012, Volltext: http://hdl.handle.net/10419/57290
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Author Notes:Jürgen Eichberger ; Simon Grant; David Kelsey
Description
Summary:This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity-attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity-attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity-attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally we study whether ambiguity increases or decreases after updating. -- ambiguity ; generalized Bayesian update ; learning ; dynamic consistency ; Choquet Expected Utility
Physical Description:Online Resource
Format:Systemvoraussetzungen: Acrobat Reader.

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